@article {Farmen53, author = {Tom E.S. Farmen and Nico van der Wijst}, title = {A Cautionary Note on the Pricing of Ethics}, volume = {14}, number = {3}, pages = {53--57}, year = {2005}, doi = {10.3905/joi.2005.580549}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Ethical or socially responsible investing (SRI) has become a popular feature of modern portfolio management. This cautionary note evaluates SRI under different assumptions regarding market efficiency and ethical preferences. SRI appears to be difficult to combine with active investment strategies, as an informationally inefficient market may give rise to ethical illusions. The most consistent way to implement SRI seems to be to hold a market portfolio based on an ethical subset of the investment universe.}, issn = {1068-0896}, URL = {https://joi.pm-research.com/content/14/3/53}, eprint = {https://joi.pm-research.com/content/14/3/53.full.pdf}, journal = {The Journal of Investing} }